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- W2488758240 abstract "In this chapter, we discuss two main topics. The first is an application of cash flow engineering to alternative asset classes such as commodities. This allows us to further broaden our understanding of forward and futures markets to include concepts such as convenience yield, backwardation, and contango. Storage costs of commodities are a real-world complication that needs to be taken into account in commodities cash flow engineering. Following the discussion of commodity futures pricing and replication of commodity futures, we apply the swap engineering methodology that we developed earlier to price and replicate commodity swaps. Hedge funds are one of the most important types of arbitrageurs in liquid markets, and throughout the book we refer to their activities as examples of financial engineering. We provide background on hedge fund strategies and prime brokerage. Recent regulation and the GFC have significantly transformed and institutionalized the hedge fund industry and imply that many views about the industry have to be updated." @default.
- W2488758240 created "2016-08-23" @default.
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- W2488758240 date "2015-01-01" @default.
- W2488758240 modified "2023-09-28" @default.
- W2488758240 title "Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds)" @default.
- W2488758240 doi "https://doi.org/10.1016/b978-0-12-386968-5.00007-8" @default.
- W2488758240 hasPublicationYear "2015" @default.
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